Marcello Pericoli

Bank of Italy

Via Nazionale 91

00184 Roma

Italy

http://www.bancaditalia.it

SCHOLARLY PAPERS

21

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3,368

SSRN CITATIONS
Rank 614

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Top 614

in Total Papers Citations

143

CROSSREF CITATIONS

1,220

Scholarly Papers (21)

1.

Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test

Yale Economic Growth Center Discussion Paper No. 822
Number of pages: 38 Posted: 27 Jun 2001
Giancarlo Corsetti, Marcello Pericoli and Massimo Sbracia
University of Cambridge, Bank of Italy and Bank of Italy
Downloads 902 (25,421)
Citation 3

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Contagion, financial crisis, correlation analysis

2.

The CAPM and the Risk Appetite Index: Theoretical Differences, Empirical Similarities, and Implementation Problems

Number of pages: 26 Posted: 16 Apr 2009 Last Revised: 14 May 2009
Marcello Pericoli and Massimo Sbracia
Bank of Italy and Bank of Italy
Downloads 435 (66,422)
Citation 199

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risk aversion, asset pricing, financial crisis

3.

The CAPM and the Risk Appetite Index: Theoretical Differences and Empirical Similarities

Bank of Italy Economic Research Paper No. 586
Number of pages: 36 Posted: 03 Mar 2005
Marcello Pericoli and Massimo Sbracia
Bank of Italy and Bank of Italy
Downloads 316 (96,134)
Citation 16

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CAPM, risk aversion

Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion

Journal of International Money and Finance, Vol. 24, 2005
Number of pages: 23 Posted: 05 Sep 2008
Giancarlo Corsetti, Marcello Pericoli and Massimo Sbracia
University of Cambridge, Bank of Italy and Bank of Italy
Downloads 273 (111,995)
Citation 5

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Contagion; Financial crisis; Factor model; Correlation analysis

Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion

CEPR Discussion Paper No. 3310
Number of pages: 32 Posted: 09 May 2002
Giancarlo Corsetti, Marcello Pericoli and Massimo Sbracia
University of Cambridge, Bank of Italy and Bank of Italy
Downloads 36 (455,030)
Citation 7
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Contagion, financial crisis, factor model, correlation analysis

5.

'Pure' or 'Wake-Up-Call' Contagion? Another Look at the EMU Sovereign Debt Crisis

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 26 Posted: 30 Aug 2012
Raffaela Giordano, Marcello Pericoli and Pietro Tommasino
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 220 (140,016)
Citation 7

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contagion. EMU debt crisis, panel cointegration

Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate

Bank of Italy Temi di Discussione (Working Paper) No. 699
Number of pages: 51 Posted: 11 Mar 2009
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 121 (234,745)
Citation 58

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exchange rate, term structure, UIP

Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate

Number of pages: 45 Posted: 19 Feb 2009
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 90 (288,655)
Citation 12

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bond risk premium, exchamge rate, affine model

7.

Monetary Policy Surprises Over Time

Bank of Italy Temi di Discussione (Working Paper) No. 1102
Number of pages: 55 Posted: 05 Apr 2017
Marcello Pericoli and Giovanni Veronese
Bank of Italy and Bank of Italy
Downloads 126 (226,710)
Citation 23

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monetary policy surprises, unconventional monetary policy

8.

Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premiums

Bank of Italy Economic Research Paper No. 580
Number of pages: 45 Posted: 10 Apr 2006
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 121 (233,761)
Citation 56

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term structure models, yield curve, risk premium

9.

Macroeconomics Determinants of the Correlation Between Stocks and Bonds

Bank of Italy Temi di Discussione (Working Paper) No. 1198
Number of pages: 43 Posted: 31 Jul 2019
Marcello Pericoli
Bank of Italy
Downloads 116 (241,168)

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bond market, stock market, macroeconomic shocks, money illusion

10.

Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia

Journal of Money, Credit, and Banking, 2008
Number of pages: 34 Posted: 05 Sep 2008
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 89 (288,431)
Citation 3

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term structure models, yield curve, risk premium

11.

Expected Inflation and Inflation Risk Premium in the Euro Area and in the United States

Bank of Italy Temi di Discussione (Working Paper) No. 842
Number of pages: 42 Posted: 29 Feb 2012
Marcello Pericoli
Bank of Italy
Downloads 88 (290,475)
Citation 21

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real and nominal term structure, inflation risk premium, affine term structure, Kalman filter

12.

Real Term Structure and Inflation Compensation in the Euro Area

Bank of Italy Temi di Discussione (Working Paper) No. 841
Number of pages: 50 Posted: 29 Feb 2012
Marcello Pericoli
Bank of Italy
Downloads 59 (362,923)
Citation 139

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index-linked bond, real term structure, inflation compensation, inflation risk premium, smoothing spline

13.

Understanding Policy Rates at the Zero Lower Bound: Insights from a Bayesian Shadow Rate Model

Bank of Italy Temi di Discussione (Working Paper) No 1023
Number of pages: 41 Posted: 20 Jan 2016
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 57 (369,100)
Citation 22

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zero lower bound, shadow rate term structure model

14.

Decomposing Euro Area Sovereign Spreads: Credit, Liquidity and Convenience

Bank of Italy Temi di Discussione (Working Paper) No. 1021
Number of pages: 52 Posted: 08 Nov 2015
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 56 (372,338)
Citation 15

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sovereign spreads, liquidity premia, convenience yields

15.

Forecaster Heterogeneity, Surprises and Financial Markets

Bank of Italy Temi di Discussione (Working Paper) No. 1020
Number of pages: 44 Posted: 08 Nov 2015
Marcello Pericoli and Giovanni Veronese
Bank of Italy and Bank of Italy
Downloads 51 (388,517)
Citation 18

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surprises, forecaster heterogeneity, foreign exchange, long-term interest rates, unconventional monetary policy

16.

Pure or Wake-Up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis

Bank of Italy Temi di Discussione (Working Paper) No. 904
Number of pages: 40 Posted: 03 May 2013
Raffaela Giordano, Marcello Pericoli and Pietro Tommasino
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 48 (398,786)
Citation 21

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sovereign bond spread, contagion, non-stationary panels

17.

Macroeconomic and Monetary Policy Surprises and the Term Structure of Interest Rates

Bank of Italy Temi di Discussione (Working Paper) No. 927
Number of pages: 53 Posted: 23 Nov 2013
Marcello Pericoli
Bank of Italy
Downloads 46 (405,775)
Citation 15

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inflation risk premium, affine term structure, Kalman filter, macroeconomic and monetary surprises

18.

Surprises in the Term Structure

Number of pages: 37 Posted: 30 Aug 2012
Marcello Pericoli
Bank of Italy
Downloads 41 (424,280)

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inflation risk premium, affine term structure, Kalman filter, macroeconomic and monetary surprises

19.
Downloads 40 (428,216)

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20.

A Primer on Financial Contagion

Journal of Economic Surveys, Vol. 17, pp. 571-608, September 2003
Number of pages: 38 Posted: 25 Sep 2003
Marcello Pericoli and Massimo Sbracia
Bank of Italy and Bank of Italy
Downloads 29 (476,536)
Citation 6
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21.

Nearly Exact Bayesian Estimation of Non-Linear No-Arbitrage Term Structure Models

Bank of Italy Temi di Discussione (Working Paper) No. 1189, September 2018
Number of pages: 50 Posted: 09 Jul 2019
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 8 (600,685)

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yield curve, shadow rate, deep learning, artificial intelligence